I use shooting heads a lot: In the river for sea trout and salmon, in the salt for sea trout and what else swims around out there, in the lakes and rivers for pike etc. I've written about the virutes (and drawbacks) of shooting heads several times, so I thought I'd say a few words about shooting lines.
As mentioned in the header - there's basically a choice between monofilament (think heavey leader material) and a coated shooting line, constructed like a normal fly line with a core and a coating over. I'm not sure if braided shooting lines are still on the market. I had them, used them, loved them (zero stretch), and stopped using them sa they saw through the rings on the rod :-). Now, it's one of the first two mentioned.
Coated shooting lines are great for everything - period (with one caveat - later). I use them in the rivers in Denmark, where I very rarely need to cast 25m, and a coated shooting line does this well (remember, I'm usually casting a DH rod with 30g shooting heads, they fly far). It's easy to make a loop if you are "unlucky" enogh to get one of the few on the market that don't come with a factory welded loop. If you make your own, you have the choice of welded or spliced (I use spliced).
Coated shooting lines provide a little more resistance in the rings and hence, they give a little bit better turnover (sacrificing a little distance), and it's easier to control presentation. When pike fishing, I almost always use coated, because I like the better turnover on the huge flies. The coated shooting line is also a little easier to handle and control along the river than a mono. If you're fishing sinking density shooting heads, you're (theoretically) sacrificing a little depth, as the (usually) floating shooting lines are a little harder to pull down. Fishing very heavy densities on stillwater, I know that a monofilament shooting lines makes a difference, especially if you're fishing lighter lines, lighter as in lower weight, but still high densities. I've even used the running lines from type IV sinking WFlines as shooting lines on even heavier shooting heads - noticeable difference in depth!
And - in the pontoon boat or float tube, I also prefer coated (unless I'm fishing very high density sinkers), because they're less likely to be blown arouhd by the wind. Unless I'm using a floater (which I rarely do when "floating"), I almost always use an intermediate coated shooting line.
Coated shooting lines come in thicknesses from 0.024" to around 0.040" to suit different lines weights.
Monofilament shooting lines are equally suitable for a number of types of fishing. I primarily use mine along the coast, where long casts are usually the order of the day. You won't add a dozen yards to your cast using one, but a yard or two also counts. It's not only reduced friction that gives longer casts - the mono ifself is also much lighter than the coated. If you're lucky enough to hook a good fish on a long cast, mono is also easier to lift out of the water to reduce pressure on the hook when the fish moves sideways.
They also take up less space on the reel, so you can even use a smaller reel, should you be so inclined. Many shooting lines come in 50m or 60m spools, and I often cut them in half. 25 or 30m of shooting line, 10m of shooting head and a leader is more than I (or anyone) has ever needed.
Monos definitely don't have the same turnover, so if you're fishing really big, heavy flies or into the wind, you'll need to do something. Check the shoot, shoot through a ring with your forefinger and thumb, change to s coated shooting line or even a WF. To counter act this just a little, I typically use a heavier mono on my rods than most others. On my 6-wt for instance, I use a 0,60mm UST shootingline, where most would use maybe a 0,45mm. That gives a little of both worlds, and the line is also easier to handle with wet and cold fingers.
With mono, you can simply tie on a shooting head when changing, using a blood knot, but I find that a little un-elegant. Instead I splice a loop on the core of a piece of old fly line, and them nail-knot that loop onto the mono shooting lines, feeding the mono up through a piece of the core and out right behind the splice, nail-knotting the mono to the loop right over the spilce. I then coat it in flexible UV-resin. It's unbreakable, slides freely through the rings and provides a loop for the shooting heads.
The one thing about mono is that you really need either a stripping basket or a stripping tray in order to be really effective. I do sometimes use a stripping tray on the river, but I prefer to handle the line in my non-rod-hand, and I simply get less tangles with coated when doing that.
And remember with all shooting lines that you can turn them around on the reel when the first 2-5 meters behind the loop are worn.